Yes, and the easier to swallow version of these are cozies. Which are quite pulled back in terms of explicit description of characters and events, and usually a side-plot of a cheery nature. Can't say I've ever come across a thriller that managed to send a chill down my spine. I've been told everyone will come across it in their life. Presuming they enjoy thrillers.
Edit: Funny anecdote. About 7 or 8 years ago I rented what I presumed what was the Sherlock Holmes big time Hollywood movie only to get through half the film and wonder:
a) Why I hadn't seen the two big names involved in the filming.
b) Why it was about dinosaur footprints.
Suffice to say, I rented the wrong movie. A good enough lesson to always examine what you're renting or purchasing, and not rely on the words "Sherlock Holmes," and presume you've picked up what you wanted to get.
I believe the plot of that movie was a murder mystery which ties into your post, Scepticle. Generally speaking, if you enjoy mysteries or thrillers, you should start with some of the best in history and branch out from there. Many of today's great mystery writers take a lot of lessons from Doyle's and Christie's writings.
What are cozies? I've never heard the term.
No, I'm not really interested in murder mysteries - although I read them and applaud the cleverness and wit in some of the plots. (And yes, I have read Conan Doyle and Christie; I did all that as a teenager).
To my mind, (and this is simply my preference), I want more from a book than a whodunnit or whodunit - a good thriller/murder mystery will explore the society and a seriously good one will have you asking questions of that society and world in a way which might not have occurred.
When Peter Hoeg decided to write an alienated half-Greenland woman - rather than the usual, tired, divorced middle-aged man that he initially had in mind - as his protagonist in "Miss Smilla's Feeling For Snow", or when Martin Cruz Smith decided not to have the predictable middle-aged jaded American stumbling around in Moscow, but switched the focus of the protagonist to that of a Russian detective with a troubled background in the old Soviet elite, "Gorky Park" (both have said this in interviews), the centre of gravity of both novels shifted dramatically allowing a totally different (and far more compelling) story to be told.
I am not sure that a thriller is meant to 'send a shiver down your spine', but the best ones work in terms of character, pacing, murder mystery, setting and context. The murder means something in the context of the story. The very best will have made you see things a little differently, and sometimes will make the sort of points about a country, culture or society that one may hope to see in thoughtful political writing but so seldom do.
For "thrills down spine", I'd suggest horror, but that is not a genre to my taste.